Comments (4)
Hi,
I'll answer to the first question. What you are seeing calling
MackChainLadder(RAA) is only a summary of the results of the model. You can
use
attributes(MackChainLadder(RAA))
to display all the attributes of the MackChainLadder object:
$names
[1] "call" "Triangle"
[3] "FullTriangle" "Models"
[5] "f" "f.se"
[7] "F.se" "sigma"
[9] "Mack.ProcessRisk" "Mack.ParameterRisk"
[11] "Mack.S.E" "weights"
[13] "alpha" "Total.Mack.S.E"
[15] "Total.ProcessRisk" "Total.ParameterRisk"
[17] "tail"
$class
[1] "MackChainLadder" "TriangleModel"
[3] "list"
To access the single elements you can use
MackChainLadder(RAA)$Total.ProcessRisk and
MackChainLadder(RAA)$Total.ParameterRisk.
For the exponential notation issue I would call *options(scipen = 999) *to
disable scientific notation.
2016-07-03 21:49 GMT+02:00 LostTriangles [email protected]:
I'm quite new to R and have had some trouble pulling Mack and Bootstrap
reserve risk information from R.
- Using the pre-defined RAA incurred triangle, how do I get the
"Total.Process Risk" and "Total.ParameterRisk" shown on page 35 of the
package pdf
https://cran.r-project.org/web/packages/ChainLadder/ChainLadder.pdf? I
must be missing simple command somewhere but I'm only able to see total
Mack S.E by year upon calling "MackChainLadder(RAA)".I understand Total Mack S.E ^2 = (Process Risk^2) + (Paramater Risk^2) but
I'd like to see the individual breakout.Additionally, the Mack S.E's and Ultimates sometimes show up in
abbreviated format (2.03e+06) rather than something like 2028950. Is there
any way to re-format the Mack summary?
- Similar question, but for the Bootstrap method included in the
package. Rather than producing a mean simulated IBNR by accident year, is
it possible to input reserves by AY and show Mean Reserve / Mean Std Dev on
the summary screen?Thanks in advance.
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Thank you Fabio, your advice worked! Unfortunately I'm still a bit stuck on the bootstrap portion.
BootChainLadder(RAA) Gives a Mean Ultimate, Mean IBNR, and IBNR SE, but no Ultimate SE.
Even without inputting Paid Information into R, if I could somehow retrieve Ultimate S.E from the BootChainLadder function by AY, I could simply do the rest of the calculations in excel. Unfortunately, I don't see one of the BootChainLadder attributes which call upon the value of Ultimate S.E.
from chainladder.
The ultimate SE is the same as the IBNR SE, if I am not mistaken.
The difference between the ultimate and IBNR (or better reserve in this context) is a known quantity with no variance.
On 4 Jul 2016, at 14:00, LostTriangles [email protected] wrote:
Thank you Fabio, your advice worked! Unfortunately I'm still a bit stuck on the bootstrap portion.
BootChainLadder(RAA) Gives a Mean Ultimate, Mean IBNR, and IBNR SE, but no Ultimate SE.
Even without inputting Paid Information into R, if I could somehow retrieve Ultimate S.E from the BootChainLadder function by AY, I could simply do the rest of the calculations in excel. Unfortunately, I don't see one of the BootChainLadder attributes which call upon the value of Ultimate S.E.
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mages, you're absolutely right. I feel quite silly given that I was going to use Ultimate SE as my Reserve SE, which again is only different by a fixed amount but didn't see the same in the incurred case.
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Related Issues (20)
- Mack chainladder provides different standarized residuals. HOT 8
- MultiChainLadder plot error when NA's in triangle HOT 1
- Triangle with empty values in early development periods HOT 27
- glmReserve: Missing row in summary HOT 5
- dev.period order not correct when using plot(triang, lattice=TRUE) HOT 2
- Bootchainladder Gamma process variance incorrect parametrization
- tweedieReserve : var.power=NULL not working HOT 2
- tweedieReserve : Error in summary.tweedie when rereserving = FALSE
- package car is missing HOT 5
- dfCorTest and cyEffTest fail for mxn triangle HOT 1
- Probable bug in `glmReserve()` source code HOT 1
- I want to change presaved claims (from ChainLadder-package) HOT 2
- Is it possible to summarize P/I ratio values according to Mack?
- MackChainLadder: `tail = FALSE` works fine, `tail = TRUE` errors. HOT 2
- Cross Reference R/Python in README? HOT 4
- Theoretical Understanding of How Methods Should Handle 0's HOT 5
- Mean IBNR & Quantiles Not Comparable, MackChainLadder HOT 3
- Problems Loading on MacBook Pro OS 10.13 HOT 1
- class triangle object
- as.triangle.data.frame has column gaps
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